A portmanteau-type test for detecting serial correlation in locally stationary functional time series

DOI10.1007/S11203-022-09285-5OpenAlexW3085525027MaRDI QIDQ6166015FDOQ6166015

Authors Axel Bücher, Holger Dette, Florian Heinrichs 

Publication date 6 July 2023

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.07312

zbMATH Keywords

autocovariance operatorblock multiplier bootstrapfunctional white noisetime domain test

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Abstract: The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.

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Cited in

(3)

• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• Projection-based white noise and goodness-of-fit tests for functional time series
• Local Gaussian Autocorrelation and Tests for Serial Independence

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